Download Industry: Computer Software

The URI Quantitative Finance & Neuroscience Club (QFiN)
Analyst: YOUR NAME HERE in Header
QFiN Stock Volatility Report
CAL 1
BUS 421, V. S16
Professor Gordon H. Dash
Instructions:


This CAL is specifically designed for the ALC.
For each Table/Group, each individual student is required to pick a stock ticker to follow. For
example, if there are 5 students at a Table/Group, then that group will follow 5 distinct tickers.
Please check your ticker to assure that it has at least four (4) traded call and put options that expire
in, or later than, the last month of the semester (e.g., for S16, options should not expire before May,
2016).
See the Audit Blog, 11-Feb entry for additional details and all links.


Email for final copy: [email protected] (please, do NOT send your results to multiple email
addresses).

Double click the Word document header. Enter Table/Group Number (or alias)

The files attached to the deliverable email must include: a) a group Word (PDF) document. This
document is read for quality of the analytical content; and, b) one Excel file per student for each
table/Group member (which is only checked to see if data is in the correct format – not read for any
content descriptions).

Summary: one report file document (Word/PDF) and one Excel file from each student in the group.
For example, if there are five members of the group you will send one email to Prof Dash with a
Word/PDF document and five (5) Excel files attached.

1.
2.
3.

Support Web Sites (data and definitions)
Yahoo finance (recommended)
Google Finance
Stockcharts.com
Tools
1. Screen capture program: Snag-It; by TechSmith
2. WinORS Basic screen capture
Developing the Analysis
Format your document. Style counts! To assure stability to the style, Save As PDF (and then submit the
PDF).
1. Charts: Create, then copy, paste and size a comparative price chart that includes:
a. The price series for all stocks in the Table/Group
b. ^VIX (or any other implied volatility index) and ^GSPC (S&P 500)
c. Example shown below
The URI Quantitative Finance & Neuroscience Club (QFiN)
Analyst: YOUR NAME HERE in Header
QFiN Stock Volatility Report
2. Using Yahoo Financial, download between 6 months and one-year of historical daily price data (O, H, L,
C, V) for each student selected ticker. Video support available.
3. For the same time period, each Table/Group will need to download a comparable data set for:
a. A major market index such as the S&P500 (^GSPC) –or – any other major market index (e.g.,
Dow 30). Hint: enter a caret (^) into the yahoo quote input box – only indexes are listed in the
hint box.
b. A volatility index: The VIX, -or- any other implied volatility index.
4. For all downloaded data - sort the data tables from earliest date (e.g., 1-June-2014) to most recent date (29Jan-2015). Video support available.
5. Chapter 3 Technique: For all downloaded price data, using the ticker’s adjusted close compute logdifferenced period returns (see chapter 3). Video support available.
6. Chapter 3 Technique: Calculate a time series of realized volatility (squared returns) from the returns
computed in step 5 above.
7. Begin to accumulate the Deliverable Requirements
a. Descriptive: Identification of the investors “Holding Period” (should correspond) to your option
expiration dates (near end of semester; e.g,. 1 months –or- 2.5 months ).
b. Chart 1: Tickers Price, Market Index and Volume (either ticker or price)
c. Chart 2: Using a spreadsheet, ticker Price vs log-differenced returns (step 5).
d. In your discussion/analysis - be sure to note the axis scaling.
8. Using Excel regression under the Data Analysis tab (note: Data Analysis is not supported in Mac version of
Excel), predict Next Day stock price from the following econometric models (Note: in the notation,
replace ticker MAR with your ticker):
a. Pt 1, MAR     MAR [VIX t ]  
b. rt 1, MAR     MAR [rt ,VIX ]   ; Pt 1, MAR  ( Pt )(1  rt 1, MAR ) / note: if using log-differenced
returns then you must compute the actual return by taking the antilog: =EXP(.)
Be sure to show lagged data in your spreadsheet and label all spreadsheet columns clearly and neatly (turn
on text wrap if needed).
The URI Quantitative Finance & Neuroscience Club (QFiN)
Analyst: YOUR NAME HERE in Header
QFiN Stock Volatility Report
9. Summary: The deliverable should include your short analysis and/or discussion:
a. Files:
i. One Word (PDF) document that contains all analysis
ii. One Excel file associated with each individual at the table.
b. Point 7, inclusive.
c. Point 8 (all parts)
d. For point 8, in paragraph form, provide a descriptive statement of how your ticker varies with:
i. with the market index.
ii. Implied Volatility
e. In paragraph form, your analysis of the econometric models (do not write text into Excel – this
paragraph is part of your Word doc).
i. Write out the solution to the equations (see chapter 3)
ii. Are the equations statistically reliable?
1. R-squared
2. P-value of both the intercept and the regression parameter.
iii. What is the stock price prediction for the next day? How does that compare to the
actual stock price?
f. Over the holding period, is this stock price expected to increase, decrease, or, move sideways? It
is also possible to conclude that volatility is expected, but it is not possible to predict the
direction of the stock price volatility.
Last Update: 10-Feb-2016; 16-Feb-2016